[R] adf.test Vs ADF.test...

[Pfaff, Bernhard Dr.]

Dear Harry,

to complete the picture, for the packages installed on my machine help.search() yielded:

> help.search("Dickey")
Help files with alias or concept or title matching 'Dickey' using fuzzy
matching:


CADFtest::CADFtest      Hansen's Covariate-Augmented Dickey Fuller
                        (CADF) test
fUnitRoots::DickeyFullerPValues
                        Dickey-Fuller p Values
tseries::adf.test       Augmented Dickey-Fuller Test
urca::Raotbl1           Data set used by Dickey, Jansen & Thornton
                        (1994)
urca::Raotbl2           Data set used by Dickey, Jansen & Thornton
                        (1994)
urca::ur.df             Augmented-Dickey-Fuller Unit Root Test
uroot::ADF.rectest      Augmented Dickey-Fuller Recursive Test
uroot::ADF.test         Augmented Dickey-Fuller Test


Type '?PKG::FOO' to inspect entry 'PKG::FOO TITLE'.
> 


At least ur.df() in urca and IIRC CADFtest() in CADFtest provide arguments for lag selection.

HTH,
Bernhard
 

>-----Ursprüngliche Nachricht-----
>Von: r-help-bounces at r-project.org 
>[mailto:r-help-bounces at r-project.org] Im Auftrag von DongHongwei
>Gesendet: Donnerstag, 25. Juni 2009 09:27
>An: r-help at r-project.org
>Betreff: Re: [R] adf.test Vs ADF.test...
>
>
>
>Hi, R users,
>I'm using R to test the unit root for my time series data. I 
>just compared the "ADF.test" in "uroot" package and the 
>"adf.test" in "tseries" package. It seems it is difficult to 
>define the time trend and intercept in "adf.test". But it is 
>easy to do these in "ADF.test". "ADF.test" also help you find 
>the number of lags that need to be included in the model to 
>remove the serial correlation. I do not not see "adf.test" be 
>able to do this too. You need to define the number of lags for 
>adf.test. 
>  I'm a new R user and I could be wrong. I'll appreciate it 
>very much if someone familiar with time series in R can give 
>me some comments and suggestions. Thanks in advance.
>
>  Harry
>
>
>> From: donghw79 at hotmail.com
>> To: patrick.richardson at vai.org; r-help at r-project.org
>> Date: Wed, 24 Jun 2009 19:22:46 +0000
>> Subject: Re: [R] Why can't I use ADF.test?
>> 
>> 
>> Thanks! I tried these, but I got the following 
>messages:Warning message:In getDependencies(pkgs, 
>dependencies, available, lib) :  package ‘uroot’ 
>is not available
>> Error in library(uroot) : there is no package called 'uroot'
>> 
>> 
>> I download a package called "uroot" and put it into: 
>C:\Program Files\R\R-2.9.0\library. But still got the same 
>error. Any further suggestions?
>>   Hongwei 
>> 
>> 
>> > From: Patrick.Richardson at vai.org
>> > To: donghw79 at hotmail.com; r-help at r-project.org
>> > Date: Wed, 24 Jun 2009 15:12:22 -0400
>> > Subject: RE: [R] Why can't I use ADF.test?
>> > 
>> > Since you provided no code, the following is just a guess,  Try:
>> > 
>> > install.packages("uroot")
>> > library(uroot)
>> > 
>> > Then try your analysis again.
>> > 
>> > 
>> > -----Original Message-----
>> > From: r-help-bounces at r-project.org 
>[mailto:r-help-bounces at r-project.org] On Behalf Of DongHongwei
>> > Sent: Wednesday, June 24, 2009 3:06 PM
>> > To: r-help at r-project.org
>> > Subject: [R] Why can't I use ADF.test?
>> > 
>> > 
>> > Greetings!
>> > I'm trying to use R to test the unit root for a univariate 
>data. By this link: 
>> > http://rss.acs.unt.edu/Rdoc/library/uroot/html/ADF.test.html
>> >  it tells me that I can use the function ADF.test(). 
>However, when I tried this in R, I got this message:
>> > "Error: could not find function "ADF.test"".
>> > I'm confused by this. Anyone could give me some hints? Thanks.
>> >     Hongwei
>> > 
>> > 
>> > 
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